Article ID Journal Published Year Pages File Type
10526307 Statistics & Probability Letters 2005 10 Pages PDF
Abstract
A class of multivariate distributions obtained by Gaussian randomizations of jumps of a Lévy process is studied. Specifically, exact convenient representations of type G distributions, given that they are of spherical type, are demonstrated. The methodology reveals new ways in extracting families of distributions that may help in understanding various applications that arise in finance. Applications from explicit distributions are also confirmed.
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
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